This site insisted on having write access to my connected MIDI devices, which is a bit concerning as it's not required for what the site actually does.
They're asking for midi device control & reprogram, my guess is that for some of the exercises you can use your own midi keyboard to input the note (dictation etc.)
I figured the same, but I did not encounter such exercises, and regardless having the ability to send sysex to my MIDI devices is not required for such a thing.